RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/17/20



Key Features in this Release:


3-Year Treasury Note Future

  • This week’s release features the relaunch of the 3-Year T-Note future with complete support of the “3Y” contract in the RiskVal suite. Key sheets include: USD 2+ Trsy RVS graph, USD Bond, Sprd/Bfly, Invoice Spread, Future Calendar Roll, Future CTD Scenario and Future Net Basis Forecast

Trade Blotter

  • Enhanced the Horizontal Analysis calculation for futures which will capture the carry profile with “Future Carry + Roll based on CTD” flag enabled

  • Allow traders to select the line items by “Strategy” to calculate the PnL from the “Blotter Manager”

  • Enhanced Cap/Floor pricing such that traders can now define the volatility spread between the base fixing index and other fixing indexes Cap/Floor

EUR Bond

  • Updated the “Color Management” to include “Coupon High/Low” customization to apply color by coupon range

Sprd/Bfly

  • User can enter the MYY of the maturity of the bond, the bond with the lowest coupon and that maturity will be populated


Minor Fixes & Enhancements:

NZD Bond: Added Central Bank Holding %, Central Bank Holding Size, and Float Size in Billions (Issue Sz B – CB Hold Sz B)

Future CTD: Added Wildcard historical data for the CAD Futures

TIPS:

  • Enhanced the “Trsy Bond” such that RiskVal finds the matched treasury bond that corresponds with the issue date of the TIPS bond

  • Allow traders right-click from the “Trsy Bond” cell to reset to default

Forward Swap Matrix: auto save strategy order if users use the ctrl key + up/down arrows


Previous week's release - Sprd/Bfly, Swap Box, USD TIPS, [New] Global IVSP, [New] EUR S+SP and Historical Viewer enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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